International capital flows at the security level: evidence from the ECB's Asset Purchase Programme

We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Programme at the security level. Based on net transactions of domestic and foreign securities, we observe euro area sectors' capital flows into individual securities, cleaned from valuation effects....

Full description

Saved in:
Bibliographic Details
Published in:Policy File 2020
Main Authors: Fidora, Michael, Schmitz, Martin, Bergant, Katharina
Format: Report
Language:English
Subjects:
European Central Bank
Online Access:Request full text
Tags: Add Tag
No Tags, Be the first to tag this record!
cited_by
cites
container_end_page
container_issue
container_start_page
container_title Policy File
container_volume
creator Fidora, Michael
Schmitz, Martin
Bergant, Katharina
description We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Programme at the security level. Based on net transactions of domestic and foreign securities, we observe euro area sectors' capital flows into individual securities, cleaned from valuation effects. Our empirical analysis accounts for security-level characteristics that euro area investors (in particular investment funds and households) actively rebalanced away from securities targeted under the Public Sector Purchase Programme and other euro-denominated debt securities, towards foreign debt instruments, including 'closest substitutes', i.e. certain sovereign debt securities issued by non-euro area advanced countries. This rebalancing was particularly strong during the first six quarters of the programme. Our analysis also reveals marked differences across sectors as well as country groups within the euro area, suggesting that quantitative easing has induced heterogeneous portfolio shifts.
format report
fullrecord <record><control><sourceid>proquest_AOXKD</sourceid><recordid>TN_cdi_proquest_reports_2423397642</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>2423397642</sourcerecordid><originalsourceid>FETCH-proquest_reports_24233976423</originalsourceid><addsrcrecordid>eNqNyjEOgkAQBVAaC6PeYWJjZQNGo50SjHYU9mSzfmSTZRdnBoy3lxgPYPWaN03sNSg4GHUxGE_WdE5Hax9fQkZJG5DA9uz0TR4D_IEwuDuCBdUc2-8o8tNK6CgCpbJn2xgBlRwfbNoW82RSGy9Y_Jwly3Nxyy_rjuOzh2jF6CKrVOkmzbL9bjvyV_oA_Ns_qg</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>report</recordtype><pqid>2423397642</pqid></control><display><type>report</type><title>International capital flows at the security level: evidence from the ECB's Asset Purchase Programme</title><source>Policy File Index</source><creator>Fidora, Michael ; Schmitz, Martin ; Bergant, Katharina</creator><creatorcontrib>Fidora, Michael ; Schmitz, Martin ; Bergant, Katharina</creatorcontrib><description>We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Programme at the security level. Based on net transactions of domestic and foreign securities, we observe euro area sectors' capital flows into individual securities, cleaned from valuation effects. Our empirical analysis accounts for security-level characteristics that euro area investors (in particular investment funds and households) actively rebalanced away from securities targeted under the Public Sector Purchase Programme and other euro-denominated debt securities, towards foreign debt instruments, including 'closest substitutes', i.e. certain sovereign debt securities issued by non-euro area advanced countries. This rebalancing was particularly strong during the first six quarters of the programme. Our analysis also reveals marked differences across sectors as well as country groups within the euro area, suggesting that quantitative easing has induced heterogeneous portfolio shifts.</description><language>eng</language><publisher>European Central Bank</publisher><subject>European Central Bank</subject><ispartof>Policy File, 2020</ispartof><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://www.proquest.com/docview/2423397642?pq-origsite=primo$$EHTML$$P50$$Gproquest$$H</linktohtml><link.rule.ids>776,780,4476,43727,72842,72847</link.rule.ids><linktorsrc>$$Uhttps://www.proquest.com/docview/2423397642?pq-origsite=primo$$EView_record_in_ProQuest$$FView_record_in_$$GProQuest</linktorsrc></links><search><creatorcontrib>Fidora, Michael</creatorcontrib><creatorcontrib>Schmitz, Martin</creatorcontrib><creatorcontrib>Bergant, Katharina</creatorcontrib><title>International capital flows at the security level: evidence from the ECB's Asset Purchase Programme</title><title>Policy File</title><description>We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Programme at the security level. Based on net transactions of domestic and foreign securities, we observe euro area sectors' capital flows into individual securities, cleaned from valuation effects. Our empirical analysis accounts for security-level characteristics that euro area investors (in particular investment funds and households) actively rebalanced away from securities targeted under the Public Sector Purchase Programme and other euro-denominated debt securities, towards foreign debt instruments, including 'closest substitutes', i.e. certain sovereign debt securities issued by non-euro area advanced countries. This rebalancing was particularly strong during the first six quarters of the programme. Our analysis also reveals marked differences across sectors as well as country groups within the euro area, suggesting that quantitative easing has induced heterogeneous portfolio shifts.</description><subject>European Central Bank</subject><fulltext>true</fulltext><rsrctype>report</rsrctype><creationdate>2020</creationdate><recordtype>report</recordtype><sourceid>ABWIU</sourceid><sourceid>AFVLS</sourceid><sourceid>ALSLI</sourceid><sourceid>AOXKD</sourceid><sourceid>DPSOV</sourceid><recordid>eNqNyjEOgkAQBVAaC6PeYWJjZQNGo50SjHYU9mSzfmSTZRdnBoy3lxgPYPWaN03sNSg4GHUxGE_WdE5Hax9fQkZJG5DA9uz0TR4D_IEwuDuCBdUc2-8o8tNK6CgCpbJn2xgBlRwfbNoW82RSGy9Y_Jwly3Nxyy_rjuOzh2jF6CKrVOkmzbL9bjvyV_oA_Ns_qg</recordid><startdate>20200406</startdate><enddate>20200406</enddate><creator>Fidora, Michael</creator><creator>Schmitz, Martin</creator><creator>Bergant, Katharina</creator><general>European Central Bank</general><scope>ABWIU</scope><scope>AFVLS</scope><scope>ALSLI</scope><scope>AOXKD</scope><scope>DPSOV</scope></search><sort><creationdate>20200406</creationdate><title>International capital flows at the security level: evidence from the ECB's Asset Purchase Programme</title><author>Fidora, Michael ; Schmitz, Martin ; Bergant, Katharina</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-proquest_reports_24233976423</frbrgroupid><rsrctype>reports</rsrctype><prefilter>reports</prefilter><language>eng</language><creationdate>2020</creationdate><topic>European Central Bank</topic><toplevel>online_resources</toplevel><creatorcontrib>Fidora, Michael</creatorcontrib><creatorcontrib>Schmitz, Martin</creatorcontrib><creatorcontrib>Bergant, Katharina</creatorcontrib><collection>Social Science Premium Collection</collection><collection>Policy File Index</collection><collection>Politics Collection</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext_linktorsrc</fulltext></delivery><addata><au>Fidora, Michael</au><au>Schmitz, Martin</au><au>Bergant, Katharina</au><format>book</format><genre>unknown</genre><ristype>RPRT</ristype><atitle>International capital flows at the security level: evidence from the ECB's Asset Purchase Programme</atitle><jtitle>Policy File</jtitle><date>2020-04-06</date><risdate>2020</risdate><abstract>We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Programme at the security level. Based on net transactions of domestic and foreign securities, we observe euro area sectors' capital flows into individual securities, cleaned from valuation effects. Our empirical analysis accounts for security-level characteristics that euro area investors (in particular investment funds and households) actively rebalanced away from securities targeted under the Public Sector Purchase Programme and other euro-denominated debt securities, towards foreign debt instruments, including 'closest substitutes', i.e. certain sovereign debt securities issued by non-euro area advanced countries. This rebalancing was particularly strong during the first six quarters of the programme. Our analysis also reveals marked differences across sectors as well as country groups within the euro area, suggesting that quantitative easing has induced heterogeneous portfolio shifts.</abstract><pub>European Central Bank</pub></addata></record>
fulltext fulltext_linktorsrc
identifier
ispartof Policy File, 2020
issn
language eng
recordid cdi_proquest_reports_2423397642
source Policy File Index
subjects European Central Bank
title International capital flows at the security level: evidence from the ECB's Asset Purchase Programme
url http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-27T13%3A50%3A48IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_AOXKD&rft_val_fmt=info:ofi/fmt:kev:mtx:book&rft.genre=unknown&rft.atitle=International%20capital%20flows%20at%20the%20security%20level:%20evidence%20from%20the%20ECB's%20Asset%20Purchase%20Programme&rft.jtitle=Policy%20File&rft.au=Fidora,%20Michael&rft.date=2020-04-06&rft_id=info:doi/&rft_dat=%3Cproquest_AOXKD%3E2423397642%3C/proquest_AOXKD%3E%3Cgrp_id%3Ecdi_FETCH-proquest_reports_24233976423%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_pqid=2423397642&rft_id=info:pmid/&rfr_iscdi=true